Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic Modelling 40 (2014) C, pp. 167-174
This paper deals with the problem of pricing credit derivatives portfolio—CDO. The article assumes that the systematic factor and idiosyncratic factors subject to the fat-tailed mixed G-VG distribution instead of the traditional Gaussian distribution in the framework of factor model. Thus, the...